Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0161 |
| Annualized Std Dev | 0.2160 |
| Annualized Sharpe (Rf=0%) | 0.0745 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5586.0000 |
| NAs | 1.0000 |
| Minimum | -0.1702 |
| Quartile 1 | -0.0057 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1137 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0136 |
| Skewness | -1.0296 |
| Kurtosis | 19.2798 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0101 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0146 |
| Downside Deviation (Rf=0%) | 0.0100 |
| Downside Deviation (0%) | 0.0100 |
| Maximum Drawdown | 0.6058 |
| Historical VaR (95%) | -0.0186 |
| Historical ES (95%) | -0.0326 |
| Modified VaR (95%) | -0.0206 |
| Modified ES (95%) | -0.0423 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-09-05 | 2009-03-09 | 2019-07-10 | -0.6058 | 4739 | 2137 | 2602 |
| 2020-02-21 | 2020-03-23 | 2020-08-10 | -0.4318 | 119 | 22 | 97 |
| 2021-02-17 | 2021-03-08 | NA | -0.2282 | 24 | 14 | NA |
| 1999-03-16 | 1999-11-02 | 2000-08-21 | -0.1813 | 364 | 162 | 202 |
| 2020-08-19 | 2020-10-30 | 2020-11-17 | -0.1206 | 64 | 52 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1.9 | -0.7 | -1.3 | 0 | -2.6 | 1.3 | 0 | -0.6 | -1.3 | -1.5 | 0 | -0.7 | -5.4 |
| 2000 | 0 | 0 | 0.7 | 1.4 | 0.7 | 0.7 | 0.7 | 0 | -0.6 | -3 | -3.1 | 1.6 | -1 |
| 2001 | 0.6 | 0 | 1 | 0.6 | -0.4 | 0.5 | 0.6 | 2.8 | -1.9 | 1.3 | 1.4 | 2.9 | 9.4 |
| 2002 | -0.5 | -0.1 | 0.4 | 0.4 | -2.3 | -0.1 | -2.2 | 2 | 2.6 | 0.1 | -0.6 | -0.8 | -1.2 |
| 2003 | -1.9 | -1.3 | 0 | 0.5 | -0.1 | -0.1 | -0.7 | 1.5 | 1.4 | 0.3 | 0.8 | 0.1 | 0.3 |
| 2004 | 0.6 | -0.5 | 0.4 | 1.3 | -0.3 | -0.5 | 0.7 | -2.4 | 0.1 | 0.1 | 0.3 | 0.6 | 0.4 |
| 2005 | 0.3 | -0.4 | -2.2 | -1.1 | 0 | -1.1 | 1.2 | 0.3 | 0.6 | -1.5 | 1.1 | 1.3 | -1.7 |
| 2006 | -0.4 | 1.1 | -0.6 | 0.7 | -0.6 | 1.3 | 0.1 | 0.9 | -0.1 | -0.1 | -0.1 | 0 | 2.1 |
| 2007 | 0.1 | -1.1 | -0.2 | -0.4 | 0.2 | 0.2 | -1.3 | -0.1 | 1.5 | -1.8 | 0 | 1 | -1.9 |
| 2008 | -0.4 | -2.1 | 0.5 | -0.1 | 0.1 | -1 | 1.3 | -1.4 | 3.8 | 5.2 | -4.8 | 2.7 | 3.4 |
| 2009 | -0.2 | -1.1 | 0.2 | 2.9 | 1.4 | 2.2 | -0.5 | -1 | -1 | -4.2 | -0.1 | 0.2 | -1.3 |
| 2010 | 1.1 | 2 | 0.7 | -1.4 | -1.6 | -0.2 | 0.7 | 1.8 | -0.3 | 0.1 | 1.5 | 1 | 5.6 |
| 2011 | 1.3 | -1.1 | 0.3 | 0.5 | -0.9 | 1.2 | 0.4 | -0.4 | -2.6 | -0.4 | -0.8 | -2.1 | -4.5 |
| 2012 | 1.2 | 0.4 | 0.4 | 0.4 | -1.9 | 1.2 | 0.3 | 0.4 | -0.3 | 0.4 | -0.1 | 1 | 3.4 |
| 2013 | 0.8 | 0.5 | 0.1 | -0.3 | -0.7 | 0.7 | 0.8 | 0.9 | 0.3 | -0.4 | 0 | 0.1 | 2.9 |
| 2014 | -0.6 | -0.1 | -0.7 | 0 | -0.5 | 0.8 | -0.8 | -0.1 | -1.6 | 1.7 | -0.7 | 0.9 | -1.8 |
| 2015 | -0.7 | 0.1 | -0.2 | 0 | 0.3 | 1.7 | 3 | -1.7 | 0.1 | 0.4 | 0.6 | -0.3 | 3.2 |
| 2016 | -0.1 | 0.8 | 0 | -0.3 | 0.6 | 0.4 | -0.1 | 0.4 | 0.1 | -0.4 | -1 | -0.4 | 0.1 |
| 2017 | 0.7 | -0.7 | 0.1 | -0.6 | 0.4 | 1.6 | -0.1 | 2.7 | 0.1 | 0.9 | -3.2 | 0.1 | 2 |
| 2018 | -0.7 | -1.2 | 0.8 | 0.6 | 1 | 0.4 | 0.4 | -0.2 | -0.2 | 1 | 0.1 | 0.8 | 2.8 |
| 2019 | 0.1 | 0.7 | 0.8 | 0.1 | -0.5 | 0.3 | 0.8 | -0.1 | -1.2 | 2.1 | -1.1 | 0.8 | 2.9 |
| 2020 | 0.9 | -3.7 | -6.5 | -3.3 | 0.9 | 0.3 | -0.4 | 0.5 | 1.7 | -1.6 | 0.6 | -0.2 | -10.7 |
| 2021 | 0.5 | 1.1 | -0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
